On Convergence to the Exponential Utility Problem with Jumps (Q5443470)
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scientific article; zbMATH DE number 5237575
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On Convergence to the Exponential Utility Problem with Jumps |
scientific article; zbMATH DE number 5237575 |
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On Convergence to the Exponential Utility Problem with Jumps (English)
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21 February 2008
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exponential utility function
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Lévy processes
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minimal entropy martingale measure
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\(q\)-optimal martingale measure
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stochastic duality
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